INVESTMENTS 投资学 Chap021 Option Valuation
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap025 Diversification共34页
Average Country-Index Returns and Capital Asset Pricing Theory
• Figure 25.5 shows a clear advantage to investing in emerging markets.
– The pound-denominated return – Multiplied by – The exchange rate “return”
1r(US)1rf (UK)E E10
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Figure 25.2 Stock Market Returns in U.S. Dollars and Local Currencies for 2009
return either by investing in UK bills and
hedging exchange rate risk or by investing in
riskless U.S. assets.
1
r f (U K )
F0 E0
1
rf (U S )
rearranged:
• Emerging markets make up about 16%
Canada – make up about 62% of the world stock market.
of the world stock market.
• The weight of the U.S. within this group of six
INVESTMENTS | BODIE, KANE, M2A5R-C1U9S
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap024 Portfolio Performance Evaluation-精品文档41页
Table 24.3 Performance Statistics
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Interpretation of Table 24.3
• If P or Q represents the entire investment, Q is better because of its higher Sharpe measure and better M2.
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Dollar-Weighted Return
$2
$4+$108
-$50
-$53
Dollar-weighted Return (IRR):
50 51 112 (1r)1 (1r)2
r 7.117%
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INVESTMENTS | BODIE, KANE, M2A4R-C1U1S
Risk Adjusted Performance: Jensen
3) Jensen’s Measure PrPrf P(rMrf)
p = Alpha for the portfolio
rp = Average return on the portfolio ßp = Weighted average Beta rf = Average risk free rate rm = Average return on market index portfolio
• Because the market index and P* have the same standard deviation, their returns are comparable: M2 rP* rM
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap025 Diversification共34页
INVESTMENTS | BODIE, KANE, MA2R5C-U8S
Example 25.1 Exchange Rate Risk
• The equation shows that the return to the U.S. investor is:
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Risk Factors in International Investing
Foreign Exchange Risk
• Variation in return due to changes in the exchange rate.
• For the overall portfolio, standard deviation of excess returns is the appropriate measure of risk.
• For an asset to be added to the current portfolio, beta (covariance with U.S. portfolio) is the appropriate measure of risk.
• Emerging markets make up about 16%
Canada – make up about 62% of the world stock market.
of the world stock market.
• The weight of the U.S. within this group of six
2019年-INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap021 Option Valuation-PPT精选文档
normal distribution will be less than d
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Black-Scholes Option Valuation
X = Exercise price e = 2.71828, the base of the natural log r = Risk-free interest rate (annualized,
• Time value - the difference between the option price and the intrinsic value
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Figure 21.1 Call Option Value before Expiration
Expanding to Consider Three Intervals
S++
S+++
S+
S++-
S
S+-
SS--
S+-S---
INVESTMENTS | BODIE, KANE, MARCUS
Possible Outcomes with Three Intervals
Event 3 up 2 up 1 down 1 up 2 down 3 down
投资学Chap021
Multiple Choice Questions1. Before expiration, the time value of an in the money stock option is alwaysA) equal to zero.B) positive.C) negative.D) equal to the stock price minus the exercise price.E) none of the above.Answer: B Difficulty: EasyRationale: The difference between the actual option price and the intrinsic value iscalled the time value of the option.2. A stock option has an intrinsic value of zero if the option isA) at the money.B) out of the money.C) in the money.D) A and C.E) A and B.Answer: E Difficulty: EasyRationale: Intrinsic value can never be negative; thus it is set equal to zero for out of the money and at the money options.3. Prior to expirationA) the intrinsic value of a call option is greater than its actual value.B) the intrinsic value of a call option is always positive.C) the actual value of call option is greater than the intrinsic value.D) the intrinsic value of a call option is always greater than its time value.E) none of the above.Answer: C Difficulty: ModerateRationale: Prior to expiration, any option will be selling for a positive price, thus theactual value is greater than the intrinsic value.4. If the stock price increases, the price of a put option on that stock __________ and thatof a call option __________.A) decreases, increasesB) decreases, decreasesC) increases, decreasesD) increases, increasesE) does not change, does not changeAnswer: A Difficulty: ModerateRationale: As stock prices increases, call options become more valuable (the owner can buy the stock at a bargain price). As stock prices increase, put options become less valuable (the owner can sell the stock at a price less than market price).5. Other things equal, the price of a stock call option is positively correlated with thefollowing factors exceptA) the stock price.B) the time to expiration.C) the stock volatility.D) the exercise price.E) none of the above.Answer: D Difficulty: ModerateRationale: The exercise price is negatively correlated with the call option price.6. The price of a stock put option is __________ correlated with the stock price and__________ correlated with the striking price.A) positively, positivelyB) negatively, positivelyC) negatively, negativelyD) positively, negativelyE) not, notAnswer: B Difficulty: ModerateRationale: The lower the stock price, the more valuable the call option. The higher the striking price, the more valuable the put option.7. All the inputs in the Black-Scholes Option Pricing Model are directly observable exceptA) the price of the underlying security.B) the risk free rate of interest.C) the time to expiration.D) the variance of returns of the underlying asset return.E) none of the above.Answer: D Difficulty: ModerateRationale: The variance of the returns of the underlying asset is not directly observable, but must be estimated from historical data, from scenario analysis, or from the prices of other options.8. Delta is defined asA) the change in the value of an option for a dollar change in the price of the underlyingasset.B) the change in the value of the underlying asset for a dollar change in the call price.C) the percentage change in the value of an option for a one percent change in the valueof the underlying asset.D) the change in the volatility of the underlying stock price.E) none of the above.Answer: A Difficulty: ModerateRationale: An option's hedge ratio (delta) is the change in the price of an option for $1 increase in the stock price.9. A hedge ratio of 0.70 implies that a hedged portfolio should consist ofA) long 0.70 calls for each short stock.B) short 0.70 calls for each long stock.C) long 0.70 shares for each short call.D) long 0.70 shares for each long call.E) none of the above.Answer: C Difficulty: ModerateRationale: The hedge ratio is the slope of the option value as a function of the stock value. A slope of 0.70 means that as the stock increases in value by $1, the option increases by approximately $0.70. Thus, for every call written, 0.70 shares of stock would be needed to hedge the investor's portfolio.10. A hedge ratio for a call option is ________ and a hedge ratio for a put option is ______.A) negative, positiveB) negative, negativeC) positive, negativeD) positive, positiveE) zero, zeroAnswer: C Difficulty: ModerateRationale: Call option hedge ratios must be positive and less than 1.0, and put option ratios must be negative, with a smaller absolute value than 1.0.11. A hedge ratio for a call is alwaysA) equal to one.B) greater than one.C) between zero and one.D) between minus one and zero.E) of no restricted value.Answer: C Difficulty: ModerateRationale: See rationale for test bank question 21.10.12. The dollar change in the value of a stock call option is alwaysA) lower than the dollar change in the value of the stock.B) higher than the dollar change in the value of the stock.C) negatively correlated with the change in the value of the stock.D) B and C.E) A and C.Answer: A Difficulty: ModerateRationale: The slope of the call option valuation function is less than one.13. The percentage change in the stock call option price divided by the percentage change inthe stock price is calledA) the elasticity of the option.B) the delta of the option.C) the theta of the option.D) the gamma of the option.E) none of the above.Answer: A Difficulty: ModerateRationale: Option price elasticity measures the percent change in the option price as a function of the percent change in the stock price.14. The elasticity of a stock call option is alwaysA) greater than one.B) smaller than one.C) negative.D) infinite.E) none of the above.Answer: A Difficulty: ModerateRationale: Option prices are much more volatile than stock prices, as option premiums are much lower than stock prices.15. The elasticity of a stock put option is alwaysA) positive.B) smaller than one.C) negative.D) infinite.E) none of the above.Answer: C Difficulty: ModerateRationale: As put options become more valuable as stock prices decline, the elasticity ofa put option must be negative.16. Portfolio A consists of 150 shares of stock and 300 calls on that stock. Portfolio Bconsists of 575 shares of stock. The call delta is 0.7. Which portfolio has a higher dollar exposure to a change in stock price?A) Portfolio BB) Portfolio AC) The two portfolios have the same exposure.D) A if the stock price increases and B if it decreases.E) B if the stock price decreases and A if it increases.Answer: A Difficulty: DifficultRationale: 300 calls (0.7) = 210 shares + 150 shares = 360 shares; 575 shares = 575 shares.17. Portfolio A consists of 500 shares of stock and 500 calls on that stock. Portfolio Bconsists of 800 shares of stock. The call delta is 0.6. Which portfolio has a higher dollar exposure to a change in stock price?A) Portfolio BB) Portfolio AC) The two portfolios have the same exposure.D) A if the stock price increases and B if it decreases.E) B if the stock price decreases and A if it increases.Answer: C Difficulty: DifficultRationale: 500 calls (0.6) = 300 shares + 500 shares = 800 shares; 800 shares = 800 shares.18. Portfolio A consists of 400 shares of stock and 400 calls on that stock. Portfolio Bconsists of 500 shares of stock. The call delta is 0.5. Which portfolio has a higher dollar exposure to a change in stock price?A) Portfolio BB) Portfolio AC) The two portfolios have the same exposure.D) A if the stock price increases and B if it decreases.E) B if the stock price decreases and A if it increases.Answer: B Difficulty: DifficultRationale: 400 calls (0.5) = 200 shares + 400 shares = 600 shares; 500 shares = 500 shares.19. Portfolio A consists of 600 shares of stock and 300 calls on that stock. Portfolio Bconsists of 685 shares of stock. The call delta is 0.3. Which portfolio has a higher dollar exposure to a change in stock price?A) Portfolio BB) Portfolio AC) The two portfolios have the same exposureD) A if the stock price increases and B if it decreases.E) B if the stock price decreases and A if it increases.Answer: B Difficulty: DifficultRationale: 300 calls (0.3) = 90 shares + 600 shares = 690 shares; 685 shares = 685shares.20. A portfolio consists of 100 shares of stock and 1500 calls on that stock. If the hedgeratio for the call is 0.7, what would be the dollar change in the value of the portfolio in response to a one dollar decline in the stock price?A) +$700B) +$500C) -$1,150D) -$520E) none of the aboveAnswer: C Difficulty: DifficultRationale: -$100 + [-$1,500(0.7)] = -$1,150.21. A portfolio consists of 800 shares of stock and 100 calls on that stock. If the hedge ratiofor the call is 0.5, what would be the dollar change in the value of the portfolio inresponse to a one dollar decline in the stock price?A) +$700B) -$850C) -$580D) -$520E) none of the aboveAnswer: B Difficulty: DifficultRationale: -$800 + [-$100(0.5)] = -$850.22. A portfolio consists of 225 shares of stock and 300 calls on that stock. If the hedge ratiofor the call is 0.4, what would be the dollar change in the value of the portfolio inresponse to a one dollar decline in the stock price?A) -$345B) +$500C) -$580D) -$520E) none of the aboveAnswer: A Difficulty: DifficultRationale: -$225 + [-$300(0.4)] = -$345.23. A portfolio consists of 400 shares of stock and 200 calls on that stock. If the hedge ratiofor the call is 0.6, what would be the dollar change in the value of the portfolio inresponse to a one dollar decline in the stock price?A) +$700B) +$500C) -$580D) -$520E) none of the aboveAnswer: D Difficulty: DifficultRationale: -$400 + [-$200(0.6)] = -$520.24. If the hedge ratio for a stock call is 0.30, the hedge ratio for a put with the sameexpiration date and exercise price as the call would be ________.A) 0.70B) 0.30C) -0.70D) -0.30E) -.17Answer: C Difficulty: DifficultRationale: Call hedge ratio = N(d1); Put hedge ratio = N(d1) - 1; 0.3 - 1.0 = -0.7.25. If the hedge ratio for a stock call is 0.50, the hedge ratio for a put with the sameexpiration date and exercise price as the call would be ________.A) 0.30B) 0.50C) -0.60D) -0.50E) -.17Answer: D Difficulty: DifficultRationale: Call hedge ratio = N(d1); Put hedge ratio = N(d1) - 1; 0.5 - 1.0 = -0.5.26. If the hedge ratio for a stock call is 0.60, the hedge ratio for a put with the sameexpiration date and exercise price as the call would be. _______.A) 0.60B) 0.40C) -0.60D) -0.40E) -.17Answer: D Difficulty: DifficultRationale: Call hedge ratio = N(d1); Put hedge ratio = N(d1) - 1; 0.6 - 1.0 = -0.4.27. If the hedge ratio for a stock call is 0.70, the hedge ratio for a put with the sameexpiration date and exercise price as the call would be _______.A) 0.70B) 0.30C) -0.70D) -0.30E) -.17Answer: D Difficulty: DifficultRationale: Call hedge ratio = N(d1); Put hedge ratio = N(d1) - 1; 0.7 - 1.0 = -0.3.28. A put option is currently selling for $6 with an exercise price of $50. If the hedge ratiofor the put is -0.30 and the stock is currently selling for $46, what is the elasticity of the put?A) 2.76B) 2.30C) -7.67D) -2.76E) -2.30Answer: E Difficulty: DifficultRationale: % stock price change = ($47 - $46)/$46 = 0.021739; % option price change = $5.70 - $6.00)/$6 = - 0.05; - 0.05/0.021739 = - 2.30.29. A put option on the S&P 500 index will best protect ________A) a portfolio of 100 shares of IBM stock.B) a portfolio of 50 bonds.C) a portfolio that corresponds to the S&P 500.D) a portfolio of 50 shares of AT&T and 50 shares of Xerox stocks.E) a portfolio that replicates the Dow.Answer: C Difficulty: EasyRationale: The S&P 500 index is more like a portfolio that corresponds to the S&P 500 and thus is more protective of such a portfolio than of any of the other assets.30. Higher dividend payout policies have a __________ impact on the value of the call anda __________ impact on the value of the put.A) negative, negativeB) positive, positiveC) positive, positiveD) negative, positiveE) zero, zeroAnswer: D Difficulty: ModerateRationale: Dividends lower the expected stock price, and thus lower the current call option value and increase the current put option value.31. A one dollar decrease in a call option's exercise price would result in a(n) __________in the call option's value of __________ one dollar.A) increase, more thanB) decrease, more thanC) decrease, less thanD) increase, less thanE) increase, exactlyAnswer: D Difficulty: ModerateRationale: Option prices are less than stock prices, thus changes in stock prices (market or exercise) are greater (in absolute terms) than are changes in prices of options.32. Which one of the following variables influence the value of options?I)Level of interest rates.II)Time to expiration of the option.III)Dividend yield of underlying stock.IV)Stock price volatility.A) I and IV only.B) II and III only.C) I, II, and IV only.D) I, II, III, and IV.E) I, II and III only.Answer: D Difficulty: ModerateRationale: All of the above variables affect option prices.33. An American call option buyer on a non-dividend paying stock willA) always exercise the call as soon as it is in the money.B) only exercise the call when the stock price exceeds the previous high.C) never exercise the call early.D) buy an offsetting put whenever the stock price drops below the strike price.E) none of the above.Answer: C Difficulty: ModerateRationale: An American call option buyer will not exercise early if the stock does not pay dividends; exercising forfeits the time value. Rather, the option buyer will sell the option to collect both the intrinsic value and the time value.34. Relative to European puts, otherwise identical American put optionsA) are less valuable.B) are more valuable.C) are equal in value.D) will always be exercised earlier.E) none of the above.Answer: B Difficulty: ModerateRationale: It is valuable to exercise a put option early if the stock drops below athreshold price; thus American puts should sell for more than European puts.35. Use the two-state put option value in this problem. S O = $100; X = $120; the twopossibilities for S T are $150 and $80. The range of P across the two states is _____; the hedge ratio is _______.A) $0 and $40; -4/7B) $0 and $50; +4/7C) $0 and $40; +4/7D) $0 and $50; -4/7E) $20 and $40; +1/2Answer: A Difficulty: DifficultRationale: When S T = $150; P = $0; when S T =$80: P = $40; ($0 - $40)/($150 - $80) = -4/7.36. Use the Black-Scholes Option Pricing Model for the following problem. Given: S O =$70; X = $70; T = 70 days; r = 0.06 annually (0.0001648 daily); σ = 0.020506 (dail y).No dividends will be paid before option expires. The value of the call option is_______.A) $10.16.B) $5.16.C) $0.00.D) $2.16.E) none of the above.Answer: B Difficulty: DifficultRationale: d2 = 0.1530277 - (0.020506)(70)1/2 = -0.01853781; N(d1) = 0.5600; N(d2) = 0.4919; C = 0.5600($70) - $70[e-(0.0001648)(70)]0.4919 = $5.16.37. Empirical tests of the Black-Scholes option pricing modelA) show that the model generates values fairly close to the prices at which optionstrade.B) show that the model tends to overvalue deep in the money calls and undervaluedeep out of the money calls.C) indicate that the mispricing that does occur is due to the possible early exercise ofAmerican options on dividend-paying stocks.D) A and C.E) A, B, and C.Answer: D Difficulty: DifficultRationale: Studies have shown that the model tends to undervalue deep in the money calls and to overvalue deep out of the money calls. The other statements are true.38. Options sellers who are delta-hedging would most likelyA) sell when markets are falling.B) buy when markets are rising.C) both A and B.D) sell whether markets are falling or rising.E) buy whether markets are falling or rising.Answer: C Difficulty: ModerateRationale: See text box page 774.Use the following to answer questions 39-43:An American-style call option with six months to maturity has a strike price of $35. The underlying stock now sells for $43. The call premium is $12.39. What is the intrinsic value of the call?A) $12B) $8C) $0D) $23E) none of the above.Answer: B Difficulty: EasyRationale: 43 - 35 = $8.40. What is the time value of the call?A) $8B) $12C) $0D) $4E) cannot be determined without more information.Answer: D Difficulty: ModerateRationale: 12 - (43 - 35) = $4.41. If the option has delta of .5, what is its elasticity?A) 4.17B) 2.32C) 1.79D) 0.5E) 1.5Answer: C Difficulty: DifficultRationale: [(12.50 - 12)/12] / [(44 - 43)/43] = 1.79.42. If the risk-free rate is 6%, what should be the value of a put option on the same stockwith the same strike price and expiration date?A) $3.00B) $2.02C) $12.00D) $5.25E) $8.00Answer: A Difficulty: DifficultRationale: P = 12 - 43 + 35/(1.06).5; P = $3.0043. If the company unexpectedly announces it will pay its first-ever dividend 3 months fromtoday, you would expect thatA) the call price would increase.B) the call price would decrease.C) the call price would not change.D) the put price would decrease.E) the put price would not change.Answer: B Difficulty: ModerateRationale: As an approximation, subtract the present value of the dividend from the stock price and recompute the Black-Scholes value with this adjusted stock price. Since the stock price is lower, the option value will be lower.44. Since deltas change as stock values change, portfolio hedge ratios must be constantlyupdated in active markets. This process is referred to asA) portfolio insurance.B) rebalancing.C) option elasticity.D) gamma hedging.E) dynamic hedging.Answer: E Difficulty: ModerateRationale: Dynamic hedgers will convert equity into cash in market declines to adjust for changes in option deltas.45. In volatile markets, dynamic hedging may be difficult to implement becauseA) prices move too quickly for effective rebalancing.B) as volatility increases, historical deltas are too low.C) price quotes may be delayed so that correct hedge ratios cannot be computed.D) volatile markets may cause trading halts.E) all of the above.Answer: E Difficulty: EasyRationale: All of the above correctly describe the problems associated with dynamic hedging in volatile markets.46. Rubinstein (1994) observed that the performance of the Black-Scholes model haddeteriorated in recent years, and he attributed this toA) investor fears of another market crash.B) higher than normal dividend payouts.C) early exercise of American call options.D) decreases in transaction costs.E) none of the above.Answer: A Difficulty: ModerateRationale: Options on the same stock with the same strike price should have the same implied volatility, but the exhibit progressively different implied volatilities.Rubinstein believes this is due to fear of another market crash.47. The time value of an option isI)the difference between the option's price and the value it would have if it wereexpiring immediately.II)the same as the present value of the option's expected future cash flows.III)the difference between the option's price and its expected future value.IV)different from the usual time value of money concept.A) IB) I and IIC) II and IIID) IIE) I and IVAnswer: E Difficulty: EasyRationale: The time value of an option is described by I, and is different from the time value of money concept frequently used in finance.48. You purchased a call option for a premium of $4. The call has an exercise price of $29and is expiring today. The current stock price is $31. What would be your best course of action?A) Exercise the call because the stock price is greater than the exercise price.B) Do not exercise the call because the stock price is greater than the exercise price.C) Do not exercise the call because the difference between the exercise price and thestock price is not enough to cover the amount of the premium.D) Exercise the call to get a positive net return on the investment.E) Do not exercise the call to avoid a negative net return on the investment.Answer: A Difficulty: ModerateRationale: If you exercise the call, your return will be ($31-29-4)/$4 = -50%. But if you don't exercise the call your return will be -$4/4 = -100%.49. As the underlying stock's price increased, the call option valuation function's slopeapproachesA) zero.B) one.C) two times the value of the stock.D) one-half time s the value of the stock.E) infinityAnswer: B Difficulty: ModerateRationale: As the stock price increases the value of the call option increases in price one for one with the stock price. The option is very likely to be exercised. This concept is illustrated graphically in Figure 21.1 on page 747.50. Relative to non-dividend-paying European calls, otherwise identical American calloptionsA) are less valuable.B) are more valuable.C) are equal in value.D) will always be exercised earlier.E) none of the above.Answer: C Difficulty: ModerateRationale: It never pays to exercise this call option before maturity. The holder of the call who wants to close out the position would be better off selling the call because the value of the call must exceed the potential proceeds from its exercise. Therefore the right to exercise the American call early has no value and it should be equal in value to the European call.51. The Black-Scholes formula assumes thatI)the risk-free interest rate is constant over the life of the option.II)the stock price volatility is constant over the life of the option.III)the expected rate of return on the stock is constant over the life of the option.IV)there will be no sudden extreme jumps in stock prices.A) I and IIB) I and IIIC) II and IID) I, II and IVE) I, II, III, and IVAnswer: D Difficulty: DifficultRationale: The risk-free rate and stock price volatility are assumed to be constant but the option value does not depend on the expected rate of return on the stock. The model also assumes that stock prices will not jump markedly.52. Which Excel formula is used to execute the Black-Scholes option pricing model?A) NORMALB) ABNORMALC) NORMSDISTD) DISTE) NORMALDISTAnswer: C Difficulty: EasyRationale: The textbook gives an example of how to use Excel to calculate some of the variables in the model. See Figure 21.8 on page 765.53. The hedge ratio of an option is also called the options _______.A) alphaB) betaC) sigmaD) deltaE) rhoAnswer: D Difficulty: EasyRationale: The two terms mean the same thing.54. Dollar movements in option prices is ________ than dollar movements in the stockprice, and rate of return volatility of options is ________ than stock return volatility.A) less, lessB) greater, greaterC) less, greaterD) greater, lessE) There is no particular pattern.Answer: C Difficulty: ModerateRationale: Options cost less than the stock, so movements in their prices cause greater percentage changesUse the following to answer questions 55-57:An American-style call option with six months to maturity has a strike price of $42. The underlying stock now sells for $50. The call premium is $14.55. What is the intrinsic value of the call?A) $12B) $10C) $8D) $23E) none of the above.Answer: C Difficulty: EasyRationale: 50 - 42 = $8.56. What is the time value of the call?A) $8B) $12C) $6D) $4E) cannot be determined without more information.Answer: C Difficulty: ModerateRationale: 14 - (50 - 42) = $6.57. If the company unexpectedly announces it will pay its first-ever dividend 4 months fromtoday, you would expect thatA) the call price would increase.B) the call price would decrease.C) the call price would not change.D) the put price would decrease.E) the put price would not change.Answer: B Difficulty: ModerateRationale: As an approximation, subtract the present value of the dividend from thestock price and recompute the Black-Scholes value with this adjusted stock price. Since the stock price is lower, the option value will be lower.Short Answer Questions58. Discuss the relationship between option prices and time to expiration, volatility of theunderlying stocks, and the exercise price.Answer: The longer the time to expiration, the higher the premium because it is more likely that an option will become more valuable (more time for the stock price tochange). The greater the volatility of the underlying stock, the greater the optionpremium; the more volatile the stock, the more likely it is that the option will become more valuable (e. g., move from an out of the money to an in the money option, orbecome more in the money). For call options, the lower the exercise price, the morevaluable the option, as the option owner can buy the stock at a lower price. For a put option, the lower the exercise price, the less valuable the option, as the owner of theoption may be required to sell the stock at a lower than market price.The purpose of this question is to insure that the student understands the relationships of the variables that determine option prices, and the differences and similarities of these variables on put and call option prices.Difficulty: Moderate59. Which of the variables affecting option pricing is not directly observable? If thisvariable is estimated to be higher or lower than the variable actually is how is the option valuation affected?Answer: The volatility of the underlying stock is not directly observable, but can be estimated from historic data. If the implied volatility is lower than the actual volatility of the stock, the option will be undervalued, as the higher the implied volatility, the higher the price of the option. Investors often use the implied volatility of the stock, i.e., the volatility of the stock implied by the price of the option. If investors think the actual volatility of the stock exceeds the implied volatility, the option would be considered to be underpriced. If actual volatility appears to be higher than the implied volatility, the "fair price" of the option would exceed the actual price.The purpose of this question is to determine whether the student understands how some investors use option pricing based on implied volatility to determine if the optionappears to be over or undervalued.Difficulty: Difficult60. What is an option hedge ratio? How does the hedge ratio for a call differ from that of aput (or are the two equivalent)? Explain.Answer: An option's hedge ratio is the change in the price of an option for a $1 increase in the stock price. A call option has a positive hedge ratio; a put option has a negative hedge ratio. The hedge ratio is the slope of the value function of the option evaluated at the current stock price.The purpose of this question is determine whether the student understands hedge ratios and how these ratios vary for puts and calls.Difficulty: Moderate。
投资学
Ross据此概括了“Finance”四大课 据此概括了“ 据此概括了 四大课 题： 效率市场(efficient market)、收益与风险 效率市场 、
(return and risk)、期权定价理论 、期权定价理论(option pricing)、公司金融 、公司金融(corporate finance)
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1.2 金融资产
1.2.1 财富与资产 财富（ 财富（ Wealth）：现时收入（Present income） ） 与未来收入（Future income）的现值（Present value）的和。 资产（ 资产（Assets）：所有能储存的财富 ）
实物资产（Real assets）与金融资产（Financial assets）
金融资产的价值与其物质形态没有任何关系：股票可能并不比印 制股票的纸张更值钱。 整个社会财富的总量与金融资产数量无关，金融资产不是社会财 富的代表。 简而言之，金融资产的价值在于对实物资产的要求权。
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金融资产在经济中的作用
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消费的时机安排（ Consumption Timing）：个人现实 消费与现实收入分离，将高收入期的购买力转移到低收 入期。 风险的分配（ Allocation of Risk）：风险来源于实际资 产，风险在全社会的分散和优化配置。 问题：金融工具能否减少总体经济的风险？
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1.2.2实物资产与金融资产 1.2.2实物资产与金融资产 实物资产（ 实物资产（Real assets）：创造收入的资产，且一旦拥 ） 有就可以直接提供服务。包括土地、建筑、机器、知识 等。代表一个经济的生产能力，决定一个社会的财富。 金融资产（ 金融资产（Financial assets）：实物资产的要求权 ） （ Claims on real assets ），定义实物资产在投资者之 间的配置。
(完整word版)投资学investment_题库Chap015
Multiple Choice Questions1. The term structure of interest rates is:A) The relationship between the rates of interest on all securities.B) The relationship between the interest rate on a security and its time tomaturity。
C) The relationship between the yield on a bond and its default rate。
D) All of the above.E）None of the above.Answer： B Difficulty: EasyRationale: The term structure of interest rates is the relationship between two variables, years and yield to maturity (holding all else constant).2。
The yield curve shows at any point in time：A) The relationship between the yield on a bond and the duration of the bond。
B）The relationship between the coupon rate on a bond and time to maturity of the bond。
C）The relationship between yield on a bond and the time to maturity on the bond。
D）All of the above.E) None of the above。
投资学investment 题库Chap015
Multiple Choice Questions1. The term structure of interest rates is:A) The relationship between the rates of interest on all securities.B) The relationship between the interest rate on a security and its time to maturity.C) The relationship between the yield on a bond and its default rate.D) All of the above.E) None of the above.Answer: B Difficulty: EasyRationale: The term structure of interest rates is the relationship between two variables, years and yield to maturity (holding all else constant).2. The yield curve shows at any point in time:A) The relationship between the yield on a bond and the duration of the bond.B) The relationship between the coupon rate on a bond and time to maturity of thebond.C) The relationship between yield on a bond and the time to maturity on the bond.D) All of the above.E) None of the above.Answer: C Difficulty: EasyRationale: See rationale for question 15.1.3. An inverted yield curve implies that:A) Long-term interest rates are lower than short-term interest rates.B) Long-term interest rates are higher than short-term interest rates.C) Long-term interest rates are the same as short-term interest rates.D) Intermediate term interest rates are higher than either short- or long-term interestrates.E) none of the above.Answer: A Difficulty: EasyRationale: The inverted, or downward sloping, yield curve is one in which short-term rates are higher than long-term rates. The inverted yield curve has been observedfrequently, although not as frequently as the upward sloping, or normal, yield curve.4. An upward sloping yield curve is a(n) _______ yield curve.A) normal.B) humped.C) inverted.D) flat.E) none of the above.Answer: A Difficulty: EasyRationale: The upward sloping yield curve is referred to as the normal yield curve, probably because, historically, the upward sloping yield curve is the shape that has been observed most frequently.5. According to the expectations hypothesis, a normal yield curve implies thatA) interest rates are expected to remain stable in the future.B) interest rates are expected to decline in the future.C) interest rates are expected to increase in the future.D) interest rates are expected to decline first, then increase.E) interest rates are expected to increase first, then decrease.Answer: C Difficulty: EasyRationale: An upward sloping yield curve is based on the expectation that short-term interest rates will increase.6. Which of the following is not proposed as an explanation for the term structure ofinterest rates:A) The expectations theory.B) The liquidity preference theory.C) The market segmentation theory.D) Modern portfolio theory.E) A, B, and C.Answer: D Difficulty: EasyRationale: A, B, and C are all theories that have been proposed to explain the term structure.7. The expectations theory of the term structure of interest rates states thatA) forward rates are determined by investors' expectations of future interest rates.B) forward rates exceed the expected future interest rates.C) yields on long- and short-maturity bonds are determined by the supply and demandfor the securities.D) all of the above.E) none of the above.Answer: A Difficulty: EasyRationale: The forward rate equals the market consensus expectation of future short interest rates.8. Which of the following theories state that the shape of the yield curve is essentiallydetermined by the supply and demands for long-and short-maturity bonds?A) Liquidity preference theory.B) Expectations theory.C) Market segmentation theory.D) All of the above.E) None of the above.Answer: C Difficulty: EasyRationale: Market segmentation theory states that the markets for different maturities are separate markets, and that interest rates at the different maturities are determined by the intersection of the respective supply and demand curves.9. If forward rates are known with certainty and all bonds are fairly pricedA) all bonds would have the same yield to maturity.B) all short-maturity bonds would have lower prices than all long-maturity bonds.C) all bonds would have the same price.D) all bonds would provide equal 1-year rates of return.E) none of the above.Answer: D Difficulty: EasyRationale: In a world of perfect certainty, all bond must offer equal rates of return over any holding period; otherwise, at least one bond would be dominated by the others in that this bond would offer a lower rate of return than would combinations of other bonds.No one would be willing to hold this bond, and the price of the bond would decline (law of one price).10. According to the "liquidity preference" theory of the term structure of interest rates, theyield curve usually should be:A) inverted.B) normal.C) upward sloping.D) A and B.E) B and C.Answer: E Difficulty: EasyRationale: According to the liquidity preference theory, investors would prefer to beliquid rather than illiquid. In order to accept a more illiquid investment, investorsrequire a liquidity premium and the normal, or upward sloping, yield curve results. Use the following to answer questions 11-14:Suppose that all investors expect that interest rates for the 4 years will be as follows:Year Forward Interest Rate0 (today)5%1 7%2 9%3 10%11. What is the price of 3-year zero coupon bond with a par value of $1,000?A) $863.83B) $816.58C) $772.18D) $765.55E) none of the aboveAnswer: B Difficulty: ModerateRationale: $1,000 / (1.05)(1.07)(1.09) = $816.5812. If you have just purchased a 4-year zero coupon bond, what would be the expected rateof return on your investment in the first year if the implied forward rates stay the same?(Par value of the bond = $1,000)A) 5%B) 7%C) 9%D) 10%E) none of the aboveAnswer: A Difficulty: ModerateRationale: The forward interest rate given for the first year of the investment is given as 5% (see table above).13. What is the price of a 2-year maturity bond with a 10% coupon rate paid annually? (Parvalue = $1,000)A) $1,092.97B) $1,054.24C) $1,000.00D) $1,073.34E) none of the aboveAnswer: D Difficulty: ModerateRationale: [(1.05)(1.07)]1/2 - 1 = 6%; FV = 1000, n = 2, PMT = 100, i = 6, PV =$1,073.3414. What is the yield to maturity of a 3-year zero coupon bond?A) 7.00%B) 9.00%C) 6.99%D) 7.49%E) none of the aboveAnswer: C Difficulty: ModerateRationale: [(1.05)(1.07)(1.09)]1/3 - 1 = 6.99.Use the following to answer questions 15-18:The following is a list of prices for zero coupon bonds with different maturities and par value of $1,000.Maturity (Years) Price1 $943.402 $881.683 $808.884 $742.0915. What is, according to the expectations theory, the expected forward rate in the thirdyear?A) 7.00%B) 7.33%C) 9.00%D) 11.19%E) none of the aboveAnswer: C Difficulty: ModerateRationale: 881.68 / 808.88 - 1 = 9%16. What is the yield to maturity on a 3-year zero coupon bond?A) 6.37%B) 9.00%C) 7.33%D) 10.00%E) none of the aboveAnswer: C Difficulty: ModerateRationale: (1000 / 808.81)1/3 -1 = 7.33%17. What is the price of a 4-year maturity bond with a 12% coupon rate paid annually? (Parvalue = $1,000)A) $742.09B) $1,222.09C) $1,000.00D) $1,141.92E) none of the aboveAnswer: D Difficulty: DifficultRationale: (1000 / 742.09)1/4 -1 = 7.74%; FV = 1000, PMT = 120, n = 4, i = 7.74, PV = $1,141.9218. You have purchased a 4-year maturity bond with a 10% coupon rate paid annually. Thebond has a par value of $1,000. What would the price of the bond be one year from now if the implied forward rates stay the same?A) $808.88B) $1,108.88C) $1,000D) $1,042.78E) none of the aboveAnswer: D Difficulty: DifficultRationale: (943.40 / 742.09)]1/3 - 1.0 = 8.33%; FV = 1000, PMT = 100, n = 3, i = 8.33, PV = $1,042.7819. The market segmentation theory of the term structure of interest ratesA) theoretically can explain all shapes of yield curves.B) definitely holds in the "real world".C) assumes that markets for different maturities are separate markets.D) A and B.E) A and C.Answer: E Difficulty: EasyRationale: Although this theory is quite tidy theoretically, both investors and borrows will depart from their "preferred maturity habitats" if yields on alternative maturities are attractive enough.20. Given the following pattern of forward rates:Year Forward Rate1 5%2 6%3 6.5%If one year from now the term structure of interest rates changes so that it looks exactly the same as it does today, what would be your holding period return if you purchased a 3-year zero coupon bond today and held it for one year?A) 6%B) 8%C) 9%D) 5%E) none of the aboveAnswer: D Difficulty: DifficultRationale: $1,000 / (1.06)(1.065) = $885.82 (selling price); $1,000 / (1.05)(1.06)(1.065) = $843.64 (purchase price); ($885.82 - $843.64) / $843.64 = 5%.21. An upward sloping yield curveA) is an indication that interest rates are expected to increase.B) incorporates a liquidity premium.C) reflects the confounding of the liquidity premium with interest rate expectations.D) all of the above.E) none of the above.Answer: D Difficulty: EasyRationale: One of the problems of the most commonly used explanation of termstructure, the expectations hypothesis, is that it is difficult to separate out the liquidity premium from interest rate expectations.22. The "break-even" interest rate for year n that equates the return on an n-periodzero-coupon bond to that of an n-1-period zero-coupon bond rolled over into a one-year bond in year n is defined asA) the forward rate.B) the short rate.C) the yield to maturity.D) the discount rate.E) None of the above.Answer: A Difficulty: EasyRationale: The forward rate for year n, fn, is the "break-even" interest rate for year n that equates the return on an n-period zero- coupon bond to that of an n-1-periodzero-coupon bond rolled over into a one-year bond in year n.23. When computing yield to maturity, the implicit reinvestment assumption is that theinterest payments are reinvested at the:A) Coupon rate.B) Current yield.C) Yield to maturity at the time of the investment.D) Prevailing yield to maturity at the time interest payments are received.E) The average yield to maturity throughout the investment period.Answer: C Difficulty: ModerateRationale: In order to earn the yield to maturity quoted at the time of the investment, coupons must be reinvested at that rate.24. Which one of the following statements is true?A) The expectations hypothesis indicates a flat yield curve if anticipated futureshort-term rates exceed the current short-term rate.B) The basic conclusion of the expectations hypothesis is that the long-term rate isequal to the anticipated long-term rate.C) The liquidity preference hypothesis indicates that, all other things being equal,longer maturities will have lower yields.D) The segmentation hypothesis contends that borrows and lenders are constrained toparticular segments of the yield curve.E) None of the above.Answer: D Difficulty: ModerateRationale: A flat yield curve indicates expectations of existing rates. Expectationshypothesis states that the forward rate equals the market consensus of expectations of future short interest rates. The reverse of c is true.25. The concepts of spot and forward rates are most closely associated with which one ofthe following explanations of the term structure of interest rates.A) Segmented Market theoryB) Expectations HypothesisC) Preferred Habitat HypothesisD) Liquidity Premium theoryE) None of the aboveAnswer: B Difficulty: ModerateRationale: Only the expectations hypothesis is based on spot and forward rates. A andC assume separate markets for different maturities; liquidity premium assumes higheryields for longer maturities.26.Par Value $1,000Time to Maturity 20 yearsCoupon 10% (paid annually)Current Price $850Yield to Maturity 12%Given the bond described above, if interest were paid semi-annually (rather thanannually), and the bond continued to be priced at $850, the resulting effective annual yield to maturity would be:A) Less than 12%B) More than 12%C) 12%D) Cannot be determinedE) None of the aboveAnswer: B Difficulty: ModerateRationale: FV = 1000, PV = -850, PMT = 50, n = 40, i = 5.9964 (semi-annual);(1.059964)2 - 1 = 12.35%.27. Interest rates might declineA) because real interest rates are expected to decline.B) because the inflation rate is expected to decline.C) because nominal interest rates are expected to increase.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: The nominal rate is comprised of the real interest rate plus the expected inflation rate.28. Statistical estimation of the yield curve contains apparent pricing error. These errorterms are probably a result ofA) tax effects.B) call provisions.C) out of date price quotes.D) all of the above.E) none of the above.Answer: D Difficulty: EasyRationale: All of the factors listed can cause what appear to be pricing errors but are actually reflective of inaccurate reporting, differences in investor tax status, anddifferences in bond indentures.29. Forward rates ____________ future short rates because ____________.A) are equal to; they are both extracted from yields to maturity.B) are equal to; they are perfect forecasts.C) differ from; they are imperfect forecasts.D) differ from; forward rates are estimated from dealer quotes while future short ratesare extracted from yields to maturity.E) are equal to; although they are estimated from different sources they both are usedby traders to make purchase decisions.Answer: C Difficulty: EasyRationale: Forward rates are the estimates of future short rates extracted from yields to maturity but they are not perfect forecasts because the future cannot be predicted with certainty; therefore they will usually differ.30. The pure yield curve can be estimatedA) by using zero-coupon bonds.B) by using coupon bonds if each coupon is treated as a separate "zero."C) by using corporate bonds with different risk ratings.D) by estimating liquidity premiums for different maturities.E) A and B.Answer: E Difficulty: ModerateRationale: The pure yield curve is calculated using zero coupon bonds, but coupon bonds may be used if each coupon is treated as a separate "zero."31. The market segmentation and preferred habitat theories of term structureA) are identical.B) vary in that market segmentation is rarely accepted today.C) vary in that market segmentation maintains that borrowers and lenders will notdepart from their preferred maturities and preferred habitat maintains that market participants will depart from preferred maturities if yields on other maturities areattractive enough.D) A and B.E) B and C.Answer: E Difficulty: ModerateRationale: Borrowers and lenders will depart from their preferred maturity habitats if yields are attractive enough; thus, the market segmentation hypothesis is no longer readily accepted.32. The yield curveA) is a graphical depiction of term structure of interest rates.B) is usually depicted for U. S. Treasuries in order to hold risk constant acrossmaturities and yields.C) is usually depicted for corporate bonds of different ratings.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: The yield curve (yields vs. maturities, all else equal) is depicted for U. S.Treasuries more frequently than for corporate bonds, as the risk is constant across maturities for Treasuries.Use the following to answer questions 33-36:Year 1-Year Forward Rate1 5.8%2 6.4%3 7.1%4 7.3%5 7.4%33. What should the purchase price of a 2-year zero coupon bond be if it is purchased at thebeginning of year 2 and has face value of $1,000?A) $877.54B) $888.33C) $883.32D) $893.36E) $871.80Answer: A Difficulty: DifficultRationale: $1,000 / [(1.064)(1.071)] = $877.5434. What would the yield to maturity be on a four-year zero coupon bond purchased today?A) 5.80%B) 7.30%C) 6.65%D) 7.25%E) none of the above.Answer: C Difficulty: ModerateRationale: [(1.058) (1.064) (1.071) (1.073)]1/4 - 1 = 6.65%35. Calculate the price at the beginning of year 1 of a 10% annual coupon bond with facevalue $1,000 and 5 years to maturity.A) $1,105.47B) $1,131.91C) $1,177.89D) $1,150.01E) $719.75Answer: B Difficulty: DifficultRationale: i = [(1.058) (1.064) (1.071) (1.073) (1.074)]1/5 - 1 = 6.8%; FV = 1000, PMT = 100, n = 5, i = 6.8, PV = $1,131.9136. What should be the holding period return of a 9% annual coupon bond with face value$1000 and five years to maturity if it is purchased at the beginning of year 1 and sold at the beginning of year 2, assuming that rates do not change.A) 6.0%B) 7.1%C) 6.8%D) 7.4%E) none of the above.Answer: A Difficulty: DifficultRationale: Using the information in 15.36, P0 = $1,131.91; i = [(1.064) (1.071) (1.073)(1.074)]1/4 - 1 = 7.05%; FV = 1000, PMT = 100, n = 4, i = 7.05, PV = $1,099.81; HPR =(1099.81 - 1131.91 + 100) / 1131.91 = 6%.37. Given the yield on a 3 year zero-coupon bond is 7.2% and forward rates of 6.1% in year1 and 6.9% in year 2, what must be the forward rate in year 3?A) 7.2%B) 8.6%C) 6.1%D) 6.9%E) none of the above.Answer: B Difficulty: ModerateRationale: f3 = (1.072)3 / [(1.061) (1.069)] - 1 = 8.6%38. Consider two annual coupon bonds, each with two years to maturity. Bond A has a 7%coupon and a price of $1000.62. Bond B has a 10% coupon and sells for $1,055.12.Find the two one-period forward rates that must hold for these bonds.A) 6.97%, 6.95%B) 6.95%, 6.95%C) 6.97%, 6.97%D) 6.08%, 7.92%E) 7.00%, 10.00%Answer: D Difficulty: DifficultRationale: 1000.62 = d1 X 70 + d2 X 1070;1055.12 = d1 X 100 + d2 X 1100;2620.36 = 3000 d2;d2 = .8735; d1 = .9427; r1 = 6.08%; r2 = 7.92%.39. An inverted yield curve is oneA) with a hump in the middle.B) constructed by using convertible bonds.C) that is relatively flat.D) that plots the inverse relationship between bond prices and bond yields.E) that slopes downward.Answer: E Difficulty: EasyRationale: An inverted yield curve occurs when short-term rates are higher thanlong-term rates.40. Assuming the forecasts implicit in a yield curve come to pass, an inverted yield curvewould be most favorable forA) short-term borrowers.B) long-term borrowers.C) short-term lenders.D) long-term lenders.E) nobody - Neither a borrower nor a lender be.Answer: D Difficulty: DifficultRationale: Short-term borrowers would face high interest rates. Long-term borrowers would lock in a higher rate than necessary. Short-term lenders would earn a high rate initially, but later would earn lower rates. Long-term lenders would lock in higherinterest rates than they could in the future. Note: If lower rates occur later, some of the long-term borrowers may choose to prepay their loans.41. Investors can use publicly available financial date to determine which of the following?I)the shape of the yield curveII)future short-term ratesIII)the direction the Dow indexes are headingIV)the actions to be taken by the Federal ReserveA) I and IIB) I and IIIC) I, II, and IIID) I, III, and IVE) I, II, III, and IVAnswer: A Difficulty: ModerateRationale: Only the shape of the yield curve and future inferred rates can be determined.The movement of the Dow Indexes and Federal Reserve policy are influenced by term structure but are determined by many other variables also.42. Which of the following is a reason that bond prices do not conform exactly to thepresent value of the bond's cash flows?I) A call feature affects the bond's price.II)After-tax cash flows may be different for different investors.III)The IRS may impute a “built-in” interest payment.IV)Some investors might choose to sell the bond before its maturity date.A) I and IIB) I, II, and IIIC) I and IVD) I, II, and IVE) I, II, III and IVAnswer: E Difficulty: ModerateRationale: All of the items listed can affect the actual cash flows. It is not possible to know for sure whether a bond will be called, so cash flows after the call date may or may not be relevant. Investors have different tax brackets and situations and will therefore have different after-tax cash flows. Imputed interest income will apply to zero-coupon or OID bonds. And investors may choose different holding periods, for example, they may evaluate tax-timing options and make decisions based on tax consequences.43. A liquidity premiumA) compensates long-term investors for the uncertainty about future selling prices.B) compensates short-term investors for the uncertainty about future selling prices.C) compensates long-term investors for the lack of liquidity in bond markets.D) compensates short-term investors for the lack of liquidity in bond markets.E) is almost never observed in the markets.Answer: B Difficulty: EasyRationale: This definition is given in the section 15.2 of the text, on page 496.44. The Liquidity Preference Theory states thatA) stocks are preferred to bonds because they are generally more liquid.B) treasury Bonds are preferred to corporate bonds because they are more liquid.C) the liquidity premium is expected to be positive because short-term investorsdominate the market.D) bonds of large corporations are preferred because they have the highest liquidity.E) liquidity premiums can be measured precisely.Answer: C Difficulty: ModerateRationale: Short-term investors are not willing to hold long-term bonds unless they are compensated with a positive liquidity premium. The normal upward-sloping yield curve implies that f2 - E(r2), the liquidity premium, is expected to be positive.45. Which of the following combinations will result in a sharply increasing yield curve?A) increasing expected short rates and increasing liquidity premiumsB) decreasing expected short rates and increasing liquidity premiumsC) increasing expected short rates and decreasing liquidity premiumsD) increasing expected short rates and constant liquidity premiumsE) constant expected short rates and increasing liquidity premiumsAnswer: A Difficulty: ModerateRationale: Both of the forces will act to increase the slope of the yield curve. Thisconcept is illustrated graphically in Figure 15.5 on page 500.46. The yield curve is a component ofA) the Dow Jones Industrial Average.B) the consumer price index.C) the index of leading economic indicators.D) the producer price index.E) the inflation index.Answer: C Difficulty: EasyRationale: Since the yield curve is often used to forecast the business cycle, it is used as one of the leading economic indicators.47. The most recently issued Treasury securities are calledA) on the run.B) off the run.C) on the market.D) off the market.E) none of the above.Answer: A Difficulty: EasyUse the following to answer questions 48-51:Suppose that all investors expect that interest rates for the 4 years will be as follows:Year Forward Interest Rate0 (today)3%1 4%2 5%3 6%48. What is the price of 3-year zero coupon bond with a par value of $1,000?A) $889.08B) $816.58C) $772.18D) $765.55E) none of the aboveAnswer: A Difficulty: ModerateRationale: $1,000 / (1.03)(1.04)(1.05) = $889.0849. If you have just purchased a 4-year zero coupon bond, what would be the expected rateof return on your investment in the first year if the implied forward rates stay the same?(Par value of the bond = $1,000)A) 5%B) 3%C) 9%D) 10%E) none of the aboveAnswer: B Difficulty: ModerateRationale: The forward interest rate given for the first year of the investment is given as 3% (see table above).50. What is the price of a 2-year maturity bond with a 5% coupon rate paid annually? (Parvalue = $1,000)A) $1,092.97B) $1,054.24C) $1,028.51D) $1,073.34E) none of the aboveAnswer: C Difficulty: ModerateRationale: [(1.03)(1.04)]1/2 - 1 = 3.5%; FV = 1000, n = 2, PMT = 50, i = 3.5, PV =$1,028.5151. What is the yield to maturity of a 3-year zero coupon bond?A) 7.00%B) 9.00%C) 6.99%D) 4%E) none of the aboveAnswer: D Difficulty: ModerateRationale: [(1.03)(1.04)(1.05)]1/3 - 1 = 4%.Use the following to answer questions 52-55:The following is a list of prices for zero coupon bonds with different maturities and par value of $1,000.Maturity (Years) Price1 $925.162 $862.573 $788.664 $711.0052. What is, according to the expectations theory, the expected forward rate in the thirdyear?A) 7.23B) 9.37%C) 9.00%D) 10.9%E) none of the aboveAnswer: B Difficulty: ModerateRationale: 862.57 / 788.66 - 1 = 9.37%53. What is the yield to maturity on a 3-year zero coupon bond?A) 6.37%B) 9.00%C) 7.33%D) 8.24%E) none of the aboveAnswer: D Difficulty: ModerateRationale: (1000 / 788.66)1/3 -1 = 8.24%54. What is the price of a 4-year maturity bond with a 10% coupon rate paid annually? (Parvalue = $1,000)A) $742.09B) $1,222.09C) $1,035.66D) $1,141.84E) none of the aboveAnswer: C Difficulty: DifficultRationale: (1000 / 711.00)1/4 -1 = 8.9%; FV = 1000, PMT = 100, n = 4, i = 8.9, PV = $1,035.6655. You have purchased a 4-year maturity bond with a 9% coupon rate paid annually. Thebond has a par value of $1,000. What would the price of the bond be one year from now if the implied forward rates stay the same?A) $995.63B) $1,108.88C) $1,000D) $1,042.78E) none of the aboveAnswer: A Difficulty: DifficultRationale: (925.16 / 711.00)]1/3 - 1.0 = 9.17%; FV = 1000, PMT = 90, n = 3, i = 9.17, PV = $995.6356. Given the following pattern of forward rates:Year Forward Rate1 4%2 5%3 5.5%If one year from now the term structure of interest rates changes so that it looks exactly the same as it does today, what would be your holding period return if you purchased a 3-year zero coupon bond today and held it for one year?A) 6%B) 4%C) 3%D) 6%E) none of the aboveAnswer: B Difficulty: DifficultRationale: $1,000 / (1.05)(1.055) = $902.73 (selling price); $1,000 / (1.04)(1.05)(1.055) = $868.01 (purchase price); ($902.73 - $868.01) / $868.01 = 4%.57.Par Value $1,000Time to Maturity 18 yearsCoupon 9% (paid annually)Current Price $917.99Yield to Maturity 10%Given the bond described above, if interest were paid semi-annually (rather thanannually), and the bond continued to be priced at $917.99, the resulting effective annual yield to maturity would be:A) Less than 10%B) More than 10%C) 10%D) Cannot be determinedE) None of the aboveAnswer: B Difficulty: ModerateRationale: FV = 1000, PV = -917.99, PMT = 45, n = 36, i = 4.995325 (semi-annual);(1.4995325)2 - 1 = 10.24%.。
投资学第1章知识讲解
投资学 第1章
13
证明1：公司A的这种投资是有意义的
由于利息支出计入税前成本，因此公司A实际 税后成本为10%×（1-40%）=6%。
公司A投资于优先股的股息税后收入为： 8% －8%×（1－80%）×40%=7.36% 。
证明2：这笔交易对公司B来说亦是盈利的。
公司B通过借出资金获得利息收入，税后收益 为10％×（1－12％）＝8.8%，而公司B向公 司A支付的优先股股息为8%。
合约性质：债券市场、股票市场、期货市 场、期权市场。
期限长短：货币市场和资本市场
功能：初级（一级）市场——发行市场， 二级市场——交易市场。
区别：第一市场、第二市场等
组织结构：交易所、场外市场等
投资学 第1章
8
1.2.2 金融市场的主体
（1）家庭部门（the household sector）：既 是金融市场资金的主要供给者，又是投资 者。
2
概念辨析
财富（ Wealth）：现时收入（Present income）与未来收入（Future income）的 现值（Present value）的和。
资产（Assets）：所有能储存的财富
专利、大学教育、客户关系是资产吗？
实际资产（Real assets）与金融资产 （Financial assets）
时间性：牺牲当前消费（Reduced current consumption）计划的未来消费（Planned later consumption）
资金的时间价值
不确定性（Uncertainty）——风险性
如果证券没有风险是否意味着没有收益？
收益性：增加投资者的财富来满足未来的消费
投资学 第1章
专利、大学教育、客户关系是实际资产吗？
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap025 Diversification-34页精选文档
is 54%.
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Background
• Clearly, U.S. stocks do not comprise a fully diversified equity portfolio.
• International investing provides greater diversification opportunities.
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Benefits from International Diversification
• Correlations between countries suggest international diversification is beneficial, especially for active investors.
• A U.S. investor with $20,000 can buy £10,000 and invest them to obtain £11,000 in one year.
• If the £depreciates to $1.80, the investment will yield only $19, 800, a $200 loss.
CHAPTER 25
International Diversification
McGraw-Hill/Irwin
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Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models-39页精选文档
Constant Growth DDM
V0D0k1ggkD 1g
g=dividend growth rate
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Example 18.1 Preferred Stock and the DDM
• Price = No-growth value per share + PVGO
P0
E1 k
PVGO
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Example 18.4 Growth Opportunities
• Firm reinvests 60% of its earnings in projects with ROE of 10%, capitalization rate is 15%. Expected year-end dividend is $2/share, paid out of earnings of $5/share.
• “Floor” or minimum value is the liquidation value per share.
• Tobin’s q is the ratio of market price to replacement cost.
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• V0 =current value; Dt=dividend at time t; k = required rate of return
• The DDM says the stock price should equal the present value of all expected future dividends into perpetuity.
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap020 Options Markets Introduction-PPT资料41页
Out of the Money - exercise of the option would not be profitable Call: market price < exercise price. Put: market price > exercise price.
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Option versus Stock Investments
• Could a call option strategy be preferable to a direct stock purchase?
• Suppose you think a stock, currently selling for $100, will appreciate.
• Sellers (writers) of options receive premium income.
• If holder exercises the option, the option writer must make (call) or take (put) delivery of the underlying asset.
• Investor’s profit:
$7.00 - $4.79 = $2.21
• Holding period return = 46.1% over 44 days!
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap002 Asset Classes and Financial Instruments31页PPT
• Certificates of Deposit: Time deposit with a bank
• Commercial Paper: Short-term, unsecured debt of a company
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Yields on Money Market Instruments
• Except for Treasury bills, money market securities are not free of default risk
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The Bond Market
• Inflation-Protected Treasury Bonds
– TIPS: Provide inflation protection
• Federal Agency Debt
– Debt of mortgage-related agencies such as Fannie Mae and Freddie Mac
• International Bonds
– Eurobonds and Yankee bonds
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Municipal Bonds
• Issued by state and local governments • Interest is exempt from federal income
• Eurodollars: dollar-denominated time deposits in banks outside the U.S.
Investment投资学
Investment投资学Investment 投资学rate of return on investment = risk-free real rate + expecgted inflation rate + risk premium rate 投资收益率=无风险实际利率+预期通胀率+风险报酬率；无风险实际利率+预期通胀率=市场上的名义利率亦即无风险报酬率nominal interest rate in market, namely risk-free return ratetransaction mechanism of securities market:market maker mechanism: market maker quotes both a buy and a sell price in a financial instrument to make market.DASDAQ, london stock exchange, JASDAQbidding mechanism: the price is based on the buyer and seller ’s auction, transaction doesn ’t need a intermediary(中间方). frankfurt stock exchangespecial membership mechanism: london stock exchange ’s specialist trading mechanismTrading orders:market order, limit order. stop order, stop limit order.The former two usually used in spot market, the latter two used in futures and option market.A market order is a buy or sell order to be executed immediately at current market prices. As long as there are willing sellers and buyers, market orders are filled.A limit order is an order to buy a security at no more than a specific price, or to sell a security at no less than a specific price.A stop order , also referred to as a stop-loss order, is an order to buy or sell a stock once the price of the stock reaches a specified price, known as the stop price. When the stop price is reached, a stop order becomes a market order.A stop limit order combines the features of a stop order and a limit order. Once the stop price is reached, the stop-limit order becomes a limit order to buy (or to sell) at no more (or less) than another, pre-specified limit price.[13] As with all limit orders, a stop-limit order doesn't get filled if the security's price never reaches the specified limit price.1. determine the investment objective1.1 balance between the risk and the profitMarket Model: Sharpe put forward, to measure the systemic risk,also called Indexing Model and Diagonal [dai'?g ?nl] Model βcoefficient: to measure the s ystemic risk.mi m imi σσρσβ?==im 2cov cov(im) is the covariance between the return rate of asset i and return rate of market index; σ2m is the variance of market index return rate. βm = 1. If an asset or an protfolio ’s bata coefficient is greater than 1, it means their systemic risk higher than average market risk. ρim is the correlation coefficient between the asset i and market index. σ is standard deviation.Value at risk(V AR): is a widely used risk measure of the risk of loss on a specificportfolio of financial assets. For a given portfolio, probability and time horizon, VaR is defined as the expected maximun amount of loss.1.2 Investor preference期望效用函数理论（Expected Utility Theor）U(X) = E[u(X)] = P1u(x1) + P2u(x2) + ... + Pnu(xn)P is probability of u(x1)When people face the profit, he is risk aversion [?'vn]; when he face the loss, he is risk seeking.2.investment strategy based on the Efficient Market Hypothesis EMH: Fama, weak-form EMH, Semi-strong-form EMH, Strong-form EMHThe weak-form EMH claims that prices on traded assets (e.g., stocks, bonds, or property) already reflect all past publicly available information. So the Technical analysis, such as K chart, is ineffective[ini'fektiv].The semi-strong-form EMH claims both that prices reflect all publicly available information and that prices instantly change to reflect new public information.So the technical analysis and based analysis(corporation’s financial report) are ineffective. The strong-form EMH additionally claims that prices instantly reflect even hidden or "insider" information. Critics have blamed the belief in rational markets for much of the late-2000s financial crisis.So, even you hand the hidden information, you can’t get the excess earnings.oppose EMH’s empirical test:Weeke nd effect: usually, Monday’s average rate of return is lower than the average rate of return in Tuesday to Thursday.Small firm effect: the rate of return of small-cap stocks are higer big-cap stocks.If investors believe that markets are efficient, any securities can bring the normal rate of rerurn, so investors like the long-term investment, they will buy-and-hold.It’s negative investment strategy.Conversely, if investors believe the market is inefficient, they will take the active investment strategy to get the excess rate of return.3.analyze the value of assetsusing the Discounted Cash Flow Method to calculate the Intrinsic Value(内在价值) of assets.3.1 analyze the value of common stocks股息贴现模型（Dividend Discount Model ，DDM)3.1.1.Zero-Growth Model , applied to consols and preferred stock.r 0D D = 3.1.2.Constant-Growth Model 不变增长模型Three assumptions: the payment of dividend is permanent; the growth rate of dividend(g) is constant; r is more than g g r D g r D D -=-+=10)g 1( 3.1.3. Three-Stage Growth Model 三阶段增长模型3.1.4.Multiple Growth Model 多元增长模型：after one time point T, the growth rate becomes a constant, g.D 这里k 就是r3.2 analyze the value of bonds3.2.1.Pure Discount Bon d, also called Zero-coupon ['ku:p ?n] Bond, is a bond bought at a price lower than its face value, with the face value repaid at the time of maturity. It does not make periodic interest payments.TA D )r 1(+= D is the intrinsic value of discount bond, A is the face value, r is theinterest rate in marker, T is the maturity of bond.3.2.2.Level-coupon bond, also called fixed interest bond . The interest rate is known as coupon rate and interest is payable at specified dates before bond maturity. ∑=+++=T t Tt A r c D 1)r 1()1( 3.2.3.Consols [k ?n's ?lz]统一公债 is a fixed interest bond that has not the marurity.Such as the English Consolos.rc D = c is the interest paied each period 3.2.4.r* is the Promised Yield-to-Maturity of bond, if r* more than r, the price of this bond is be underestimate, so this bond could be invested.NPV=V-P3.2.5. Bond pricing principle & convexity 凸性 & duration 久期Bond pricing principle, Malkiel:1)bond ’s price and bond ’s yield are inversely proportional(反比);2)maturity and price fluctuation are in direct proportion(正比); 3)as the maturity close, the fluctuation of price is reduced by a diminishing speed(递减速度减少); 4)for the same fluctuations of yield change, the profits made by decrease of rate are larger than the loss made by increase of rate; 6)the higher coupon rate, the smaller price fluctuation.convexity:due to the principle of 1 and 4duration :B t c PV D Tt∑==1t )( D is the Macaulay duration, PV(Ct) is the present value of the cash flow in time t; B is the current price of bond.Consols ’ duration is D = 1 + 1/r, r is the discout rate3.3 analyze the value of derivatives (见金融工程)多头long position; 空头short position; 交割价格delivery price In option, exercise price 执行价格；call option看涨期权，put option看跌期权4. portfolio construction5. Performance evaluation of the portfolio。
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Call Option Value
Implied Volatility • Implied volatility is volatility for the
stock implied by the option price. • Using Black-Scholes and the actual
– The value of the stock cannot fall below zero. – Once the firm is bankrupt, it is optimal to
exercise the American put immediately because of the time value of money.
normal distribution will be less than d
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Black-Scholes Option Valuation
X = Exercise price e = 2.71828, the base of the natural log r = Risk-free interest rate (annualized,
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Table 21.1 Determinants of Call Option Values
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Restrictions on Option Value: Call
• Call value cannot be negative. The option payoff is zero at worst, and highly positive at best.
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Figure 21.4 Put Option Values as a Function of the Current Stock Price
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Binomial Option Pricing: Text Example
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Figure 21.2 Range of Possible Call Option Values
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Figure 21.3 Call Option Value as a Function of the Current Stock Price
• Call value cannot exceed the stock value. • Value of the call must be greater than the
value of levered equity.
Lower bound = adjusted intrinsic value: C > S0 - PV (X) - PV (D) (D=dividend)
Borrow $81.82 (10% Rate) 18.18
Net outlay $18.18
Payoff
Value of Stock 90 120
Repay loan - 90 - 90
Net Payoff
0 30
30
0 Payoff Structure is exactly 3 times the Call
continuously compounded with the same maturity as the option) T = time to maturity of the option in years ln = Natural log function
Standard deviation of the stock
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Early Exercise: Puts
• American puts are worth more than European puts, all else equal.
• The possibility of early exercise has value because:
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Binomial Option Pricing: Text Example
30
30
18.18
3C
0
0
3C = $18.18 C = $6.06
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Replication of Payoffs and Option Values
• Time value - the difference between the option price and the intrinsic value
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Figure 21.1 Call Option Value before Expiration
• Intrinsic value - profit that could be made if the option was immediately exercised – Call: stock price - exercise price – Put: exercise price - stock price
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Figure 21.6 A Standard Normal Curve
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Example 21.1 Black-Scholes Valuation
So = 100 r = .10
Using a table or the NORMDIST function in Excel, we find that N (.43) = .6664 and N (.18) = .5714.
Therefore: Co = SoN(d1) - Xe-rTN(d2) Co = 100 X .6664 - 95 e- .10 X .25 X .5714 Co = $13.70
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Early Exercise: Calls
• The right to exercise an American call early is valueless as long as the stock pays no dividends until the option expires.
price of the option, solve for volatility. • Is the implied volatility consistent with
the stock?
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Black-Scholes Model with Dividends
X = 95 T = .25 (quarter)
= .50 (50% per year)
Thus:
ln1
d1
0905.105220.2 .5 0.25
5 .4
3
d2.43.5 0.25.18
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Probabilities from Normal Distribution
• The Black Scholes call do not pay dividends.
• The value of American and European calls is therefore identical.
• The call gains value as the stock price rises. Since the price can rise infinitely, the call is “worth more alive than dead.”
90
90
Hence 100 - 3C = $81.82 or C = $6.06
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Hedge Ratio
• In the example, the hedge ratio = 1 share to 3 calls or 1/3.
• Generally, the hedge ratio is:
• For each interval the stock could increase by 20% or decrease by 10%.
• Assume the stock is initially selling at $100.
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• Alternative Portfolio - one share of stock and 3 calls written (X = 110)
• Portfolio is perfectly hedged:
Stock Value
90
120
Call Obligation 0
-30
Net payoff
CHAPTER 21
Option Valuation
McGraw-Hill/Irwin
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